Implementation of Lévy CARMA model in Yuima package

被引：0
|
作者：
Stefano M. Iacus
Lorenzo Mercuri
机构：
[1] University of Milan,Department of Economics, Management and Quantitative Methods
来源：
Computational Statistics | 2015年 / 30卷
关键词：
Yuima project; Lévy CARMA model; Kalman Filter;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
The paper shows how to use the R package yuima available on CRAN for the simulation and the estimation of a general Lévy Continuous Autoregressive Moving Average (CARMA) model. The flexibility of the package is due to the fact that the user is allowed to choose several parametric Lévy distribution for the increments. Some numerical examples are given in order to explain the main classes and the corresponding methods implemented in yuima package for the CARMA model.
引用
收藏
页码：1111 / 1141
页数：30
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